XML 55 R40.htm IDEA: XBRL DOCUMENT v3.22.2.2
Fair Value Measurements and Hierarchy
 6 Months Ended 12 Months Ended
Jun. 30, 2022
Dec. 31, 2021
Fair Value Disclosures [Abstract]    
Fair Value Measurements and Hierarchy Fair Value Measurements and Hierarchy
See Note 2 for a summary of the Company’s policies relating to fair value measurements.
The following table presents the carrying amounts of the Company’s financial instruments at June 30, 2022 and December 31, 2021:
(in thousands)June 30, 2022December 31, 2021
Financial assets:  
Cash and restricted cash$64,208 $115,174 
Accounts receivable28,947 20,007 
Other receivables422 1,237 
Financial liabilities:
Accounts payable$13,900 $15,559 
Derivative warrant liabilities1,589 2,193 
Earnout liabilities9,778 60,018 
The carrying amounts of cash, accounts receivable, other receivables, and accounts payable approximate fair value because of the short maturity and high liquidity of these instruments.
The following table presents information about the Company’s Level 3 liabilities that are measured at fair value on a recurring basis at June 30, 2022:
(in thousands)Derivative Warrant LiabilityEarnout Liability
Balance at December 31, 2021$2,193 $60,018 
Change in fair value included in other expense(604)(50,240)
Balance at June 30, 2022$1,589 $9,778 
The derivative warrant and earnout liabilities were valued using a Binomial Lattice and Monte-Carlo Simulation Model, respectively, which are considered to be Level 3 fair value measurements. The primary unobservable input utilized in determining the fair value of the warrant and earnouts is the expected volatility of the common stock. A summary of the inputs used in valuing the derivative warrant and earnout liabilities is as follows:
June 30, 2022December 31, 2021
Derivative Warrant LiabilityFirst Tranche EarnoutSecond Tranche EarnoutDerivative Warrant LiabilityFirst Tranche EarnoutSecond Tranche Earnout
Unit price$5.06 $5.06 $5.06 $9.75 $9.75 $9.75 
Term (in years)4.37 1.36 1.75 4.87 1.87 2.87 
Volatility37.40 %45.00 %45.00 %12.80 %35.00 %35.00 %
Risk-free rate2.98 %2.95 %2.95 %1.24 %0.94 %0.94 %
Dividend yield— — — — — — 
Cost of equity— 14.00 %14.00 %— 11.14 %11.14 %
There were no transfers between fair value measurement levels during the three and six months ended June 30, 2022 and 2021.
Uncertainty of Fair Value Measurement from Use of Significant Unobservable Inputs
The inputs to estimate the fair value of the Company’s derivative warrant and earnout liabilities were the market price of the Company’s common stock, their remaining expected term, the volatility of the Company’s common stock price and the risk-free interest rate over the expected term. Significant changes in any of those inputs in isolation can result in a significant change in the fair value measurement.
Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the derivative liabilities would each result in a directionally similar change in the estimated fair value of the Company’s derivative liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the derivative warrant liabilities due to the dividend assumption.
 Fair Value Measurements and HierarchySee Note 2 for a summary of the Company’s policies relating to fair value measurements.
The following table presents the carrying amounts of the Company’s financial instruments at December 31, 2021 and 2020:
(in thousands)December 31, 2021December 31, 2020
Financial assets:  
Cash and restricted cash$115,174 $5,998 
Accounts receivable20,00717,146
Other receivables1,237113
Financial liabilities:
Accounts payable$15,559 $12,643 
Derivative warrant liabilities2,193—
Earnout liabilities60,018—
The carrying amounts of cash, accounts receivable, other receivables, and accounts payable approximate fair value because of the short maturity and high liquidity of these instruments.
The following table presents information about the Company’s Level 3 liabilities that are measured at fair value on a recurring basis at December 31, 2021:
(in thousands)Derivative Warrant LiabilityEarnout Liability
Balance at December 31, 2020$— $— 
Private placement warrant liability acquired as part of the Business Combination5,879 — 
Earnout liability acquired as part of the Business Combination— 84,909 
Decrease in fair value included in other expense(3,686)(24,891)
Balance at December 31, 2021$2,193 $60,018 
The derivative warrant and earnout liabilities were valued using a Binomal Lattice and Monte-Carlo Simulation Model, respectively, which are considered to be Level 3 fair value measurements. The primary unobservable input utilized in determining the fair value of the warrant and earnouts is the expected volatility of the common stock. A summary of the inputs used in valuing the derivative warrant and earnout liabilities is as follows:
December 31, 2021
November 12, 2021 (Initial Measurement)
Derivative Warrant LiabilityFirst Tranche EarnoutSecond Tranche EarnoutDerivative Warrant LiabilityFirst Tranche EarnoutSecond Tranche Earnout
Unit price$9.75 $9.75 $9.75 $10.98 $10.98 $10.98 
Term (in years)4.87 1.87 2.87 5.00 2.00 3.00 
Volatility12.80 %35.00 %35.00 %19.00 %35.00 %35.00 %
Risk-free rate1.24 %0.94 %0.94 %1.24 %0.85 %0.85 %
Dividend yield0.00 %0.00 %0.00 %0.00 %0.00 %0.00 %
Cost of equity— 11.14 %11.14 %— 10.80 %10.80 %
There were no transfers between fair value measurement levels during the years ended December 31, 2021 and 2020. During the year ended December 31, 2020, the Company did not have any Level 3 fair value instruments.
Uncertainty of Fair Value Measurement from Use of Significant Unobservable Inputs
The inputs to estimate the fair value of the Company’s derivative warrant and earnout liabilities were the market price of the Company’s common stock, their remaining expected term, the volatility of the Company’s common
stock price and the risk-free interest rate over the expected term. Significant changes in any of those inputs in isolation can result in a significant change in the fair value measurement.
Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the derivative liabilities would each result in a directionally similar change in the estimated fair value of the Company’s derivative liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the derivative warrant liabilities due to the dividend assumption.